There are a total of four different Warp Zones. In World 1-2 there is the Warp Zone to Worlds 2, 3 and 4. In World 4-2, there is a Warp Zone to World 5. In World 4-2, there is a Warp Zone to Worlds 6, 7 and 8. And finally, in World 1-2, there is a glitch Warp Zone that takes Mario to the infamous Minus World (World -1.)
Worlds 2, 3 and 4
The first Warp Zone is in World 1-2, which warps to Worlds 2, 3 and 4. In order for Mario to get to the Warp Pipes, he has to go near the elevators near the end of the level and jump one of the platforms going up. Then, he must jump on to the ceiling and run across the blocks to find the Warp Zones.
The next Warp Zone is in World 4-2. Mario must go near the beginning of the level, where the seven ? Blocks are, and jump on to the elevator. Then, he must jump to the elevator going downward. Once again, Mario must quickly jump onto the ceiling and run across the blocks to get to the World 5 Warp Zone.
Worlds 6, 7 and 8
The final Warp Zone is also in World 4-2. Like the last Warp Zone, Mario must jump to the second ledge and go to the three brick blocks. Then, he must get under the one to the farthest right and jump straight up to hit the invisible block. Now, Mario must jump onto the invisible block and break the middle and the far right brick blocks. Now, he must jump down to the left of the of the first invisible block. Then, he must jump again and hit a second invisible block. Then, Mario must jump onto the second invisible block by jumping on the first one and then the second one. Finally, Mario must hit the final brick block, making a vine sprout to take him to a secret area with Warp Zones Worlds 6, 7 and 8.
The Minus World
The Minus World is a glitch Warp Zone where it leads Mario to the infamous Minus World. In order for Mario to do this glitch, he must get to the end of World 1-2 where the exit pipe is. He must then jump on the pipe and smash the two blocks directly above of the lip of the pipe. Then Mario must get on the left edge of the pipe and jump backwards toward the block. If Mario does this correctly, he gets sucked through the wall and to the -1 Warp Zone. The two outside pipes takes him to World -1 and the middle pipe will takes Mario to World 5 meaning Mario has to do the first Warp Pipe seen.
Other Info on Warp Zones
Warp Zones were also in Super Mario Bros.: The Lost Levels. There are two backwards warps in that game being World 1 and World 5. An interesting approach was made in that game, because there was a different warp for each different World.